Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0482
Annualized Std Dev 0.2117
Annualized Sharpe (Rf=0%) 0.2275

Row

Daily Return Statistics

Close
Observations 3332.0000
NAs 1.0000
Minimum -0.1039
Quartile 1 -0.0043
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0058
Maximum 0.1056
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0133
Skewness -0.2433
Kurtosis 11.2686

Downside Risk

Close
Semi Deviation 0.0097
Gain Deviation 0.0098
Loss Deviation 0.0111
Downside Deviation (MAR=210%) 0.0142
Downside Deviation (Rf=0%) 0.0096
Downside Deviation (0%) 0.0096
Maximum Drawdown 0.5750
Historical VaR (95%) -0.0196
Historical ES (95%) -0.0334
Modified VaR (95%) -0.0195
Modified ES (95%) -0.0304
From Trough To Depth Length To Trough Recovery
2007-12-27 2009-03-05 2013-07-11 -0.5750 1394 299 1095
2020-01-21 2020-03-23 2021-01-06 -0.3541 244 44 200
2018-09-24 2018-12-24 2019-07-03 -0.1777 195 64 131
2015-05-22 2016-02-11 2016-07-08 -0.1369 285 183 102
2018-01-29 2018-03-23 2018-09-20 -0.1152 164 39 125

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA NA -0.1 -0.1
2008 1.6 -3.3 3.4 1.2 -0.4 0.3 -0.2 -0.9 0.7 1.5 -9.7 2.5 -4
2009 -2.1 -3.6 2.2 0.5 2 0.4 0.2 -2.6 -2.7 -3.1 1 -0.8 -8.5
2010 1.2 0.8 0.5 -1.5 -1.5 -0.7 0.4 3.2 0.8 -0.2 2 0.1 5
2011 1.9 -1.5 0.6 0.4 -2.3 1.4 -0.2 -1.2 -2.1 -3.4 -0.4 -0.4 -7.2
2012 0.8 0.7 0.5 1.1 -2.3 2.3 0.1 0.4 0.2 0.9 0.1 1.5 6.6
2013 0.9 0.3 -0.1 -1 -1.6 0.5 1 -0.2 0.6 0.3 -0.2 0.4 0.9
2014 -0.7 0.4 0.3 -0.2 0.3 0.5 -0.2 0.3 -1.2 1 -0.2 -1.1 -0.7
2015 -1.6 -0.3 -0.4 0.9 0 0.7 -0.3 -2.9 0 -0.7 1.2 -0.9 -4.4
2016 -0.2 2.2 0.6 -0.6 0.2 0 -0.4 -0.1 0.8 -0.5 0.3 -0.3 1.9
2017 -0.3 1.5 -0.4 0.1 0.9 0.2 0.2 0.3 0.3 0.4 0 -0.4 2.6
2018 0.2 -1.3 1.2 -0.2 0.9 0 -0.4 -0.1 0.6 0.5 0.9 1 3.4
2019 0.3 0.5 1.1 -0.7 -1.3 0.7 -1.1 0.2 -2.1 0.9 -0.3 0.3 -1.5
2020 -1.8 -1.2 -4.3 -2.8 0.1 -0.1 -0.4 -0.1 -0.1 0.1 0.9 0.9 -8.5
2021 0.6 2.2 -0.5 NA NA NA NA NA NA NA NA NA 2.3

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart